There are many types of bedding that you can use for your hedgehog. I recommend kiln dried pine or aspen shavings. I use kiln dried pine shavings from the Tractor Supply Company.
Do not use cedar, because of the respiratory illnesses associated with it. You can also try other small animal bedding, but I have not heard much positive about any other bedding materials. I would avoid corn cob bedding or walnut bedding. Carefresh bedding is also acceptable.
Sometimes I use fleece liners. The fleece is easy to clean and you can have pretty patterns. It can also be great for allergy sufferers. I’m not sure what I like the best, but the pine shavings make it easy to scoop the little hedgie up in your hand, so for now I’m sticking with that. Some people use Astroturf, newspaper bedding and other materials.
Be cautious with any materials you place in the hedgehog’s cage, since their feet can get caught on threads and potentially have circulation cut off which might result in the amputation of a leg.